Bruno Feunou : Citation Profile


Are you Bruno Feunou?

Bank of Canada

6

H index

4

i10 index

145

Citations

RESEARCH PRODUCTION:

13

Articles

22

Papers

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 16
   Journals where Bruno Feunou has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 16 (9.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe411
   Updated: 2019-02-13    RAS profile: 2019-02-07    
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Relations with other researchers


Works with:

Jahan-Parvar, Mohammad (5)

Christoffersen, Peter (5)

Fontaine, Jean-Sebastien (3)

Chang, Bo Young (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bruno Feunou.

Is cited by:

Stentoft, Lars (19)

Rombouts, Jeroen (10)

Jahan-Parvar, Mohammad (9)

Kočenda, Evžen (8)

Baruník, Jozef (7)

Vacha, Lukas (6)

Ielpo, Florian (5)

Fengler, Matthias (4)

Lalaharison, Hanjarivo (4)

Christoffersen, Peter (3)

Vander Elst, Harry (3)

Cites to:

Christoffersen, Peter (29)

Bollerslev, Tim (25)

Andersen, Torben (15)

Diebold, Francis (13)

Piazzesi, Monika (12)

Engle, Robert (10)

Jahan-Parvar, Mohammad (10)

Chen, Zhiwu (9)

Wu, Liuren (9)

Campbell, John (9)

Cao, Charles (9)

Main data


Where Bruno Feunou has published?


Journals with more than one article published# docs
Review of Finance3

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada16

Recent works citing Bruno Feunou (2019 and 2018)


YearTitle of citing document
2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200.

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2017On the Tail Risk Premium in the Oil Market. (2017). Ellwanger, Reinhard. In: Staff Working Papers. RePEc:bca:bocawp:17-46.

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2018Could a Higher Inflation Target Enhance Macroeconomic Stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; Labelle, Nicholas ; Dorich, Jose. In: Staff Working Papers. RePEc:bca:bocawp:18-17.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2018Could a higher inflation target enhance macroeconomic stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; St-Pierre, Nicholas Labelle ; Dorich, Jose. In: BIS Working Papers. RePEc:bis:biswps:720.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2018European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2018Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Kurov, Alexander ; Stan, Raluca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142.

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2019The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2019Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368.

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2018A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Andreasen, Martin M ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56.

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2017Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads. (2017). Jahan-Parvar, Mohammad ; Schindler, John W ; Rosen, Samuel ; Aramonte, Sirio. In: International Finance Discussion Papers. RePEc:fip:fedgif:1212.

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2017Taxonomy of Global Risk, Uncertainty, and Volatility Measures. (2017). Rogers, John ; Jahan-Parvar, Mohammad ; Iacoviello, Matteo ; Beltran, Daniel ; del Giudice, Marius ; Li, Canlin ; Revil, Thiago ; Sun, BO ; Londono, Juan M ; Datta, Deepa Dhume. In: International Finance Discussion Papers. RePEc:fip:fedgif:1216.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

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2017Predicting the Equity Market with Option Implied Variables. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Tharann, Bjorn. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-619.

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2018GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Chorro, Christophe ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Resolving the Spanning Puzzle in Macro-Finance Term Structure Models. (2017). Rudebusch, Glenn ; Bauer, Michael. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:2:p:511-553..

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2018Survey of Volatility and Spillovers on Financial Markets. (2018). Kočenda, Evžen ; Koenda, Even. In: Prague Economic Papers. RePEc:prg:jnlpep:v:2018:y:2018:i:3:id:650:p:293-305.

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2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

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2017Fourier methods for analyzing piecewise constant volatilities. (2017). Wornowizki, Max ; Meintanis, Simos G ; Fried, Roland . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:101:y:2017:i:3:d:10.1007_s10182-017-0288-1.

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2017GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander. In: Economics Working Paper Series. RePEc:usg:econwp:2017:02.

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2018The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity. (2018). Jian, Zhi Hong ; Wu, Shuai ; Zhou, Jie ; Zhu, Zhican. In: Departmental Working Papers. RePEc:win:winwop:2018-01.

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2017Level and slope of volatility smiles in Long-Run Risk Models. (2017). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: SAFE Working Paper Series. RePEc:zbw:safewp:186.

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Works by Bruno Feunou:


YearTitleTypeCited
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers.
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paper51
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 51
paper
2010Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 51
article
2014Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers.
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paper6
2015Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers.
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This paper has another version. Agregated cites: 6
paper
2015Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 6
article
2014Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility In: Bank of Canada Review.
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article2
2009Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness In: Staff Working Papers.
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paper0
2011A Stochastic Volatility Model with Conditional Skewness In: Staff Working Papers.
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paper10
2012A Stochastic Volatility Model With Conditional Skewness*.(2012) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 10
article
2012Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers.
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paper8
2011Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 8
paper
2014Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance.
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This paper has another version. Agregated cites: 8
article
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
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paper20
2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 20
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2012Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields In: Staff Working Papers.
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paper2
2013Which Parametric Model for Conditional Skewness? In: Staff Working Papers.
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paper2
2016Which parametric model for conditional skewness?.(2016) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 2
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2013Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility In: Staff Working Papers.
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paper7
2014Bond Risk Premia and Gaussian Term Structure Models In: Staff Working Papers.
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paper1
2015Fourier Inversion Formulas for Multiple-Asset Option Pricing In: Staff Working Papers.
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paper0
2015Fourier inversion formulas for multiple-asset option pricing.(2015) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 0
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2015Downside Variance Risk Premium In: Staff Working Papers.
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paper6
2015Downside Variance Risk Premium.(2015) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 6
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2018Downside Variance Risk Premium.(2018) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 6
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2015Tractable Term-Structure Models and the Zero Lower Bound In: Staff Working Papers.
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paper3
2016Time-Varying Crash Risk: The Role of Stock Market Liquidity In: Staff Working Papers.
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paper3
2017Good Volatility, Bad Volatility and Option Pricing In: Staff Working Papers.
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paper0
2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models In: Staff Working Papers.
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2018Risk‐neutral moment‐based estimation of affine option pricing models*.(2018) In: Journal of Applied Econometrics.
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2017Variance Premium, Downside Risk and Expected Stock Returns In: Staff Working Papers.
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2019The Secular Decline of Forecasted Interest Rates In: Staff Analytical Notes.
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2017Implied volatility and skewness surface In: Review of Derivatives Research.
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2013Modeling Market Downside Volatility In: Review of Finance.
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2014Non-Markov Gaussian Term Structure Models: The Case of Inflation In: Review of Finance.
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